A BSDE approach to risk-based asset allocation of pension funds with regime switching

DOI10.1007/s10479-012-1211-5zbMath1260.91233MaRDI QIDQ1945100

Tak Kuen Siu

Publication date: 2 April 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-012-1211-5

zbMATH Keywords

hidden Markov chain; backward stochastic differential equation; stochastic differential game; convex risk measure; DC pension fund; Merton ratio

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91A23: Differential games (aspects of game theory)

91G80: Financial applications of other theories

91A15: Stochastic games, stochastic differential games

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

91B32: Resource and cost allocation (including fair division, apportionment, etc.)

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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